Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0910 |
| Annualized Std Dev | 0.2183 |
| Annualized Sharpe (Rf=0%) | 0.4169 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4923.0000 |
| NAs | 1.0000 |
| Minimum | -0.1222 |
| Quartile 1 | -0.0055 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0071 |
| Maximum | 0.1067 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0138 |
| Skewness | -0.3313 |
| Kurtosis | 7.8440 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0101 |
| Gain Deviation | 0.0094 |
| Loss Deviation | 0.0109 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0099 |
| Downside Deviation (0%) | 0.0099 |
| Maximum Drawdown | 0.5734 |
| Historical VaR (95%) | -0.0214 |
| Historical ES (95%) | -0.0335 |
| Modified VaR (95%) | -0.0213 |
| Modified ES (95%) | -0.0396 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2011-02-10 | -0.5734 | 842 | 355 | 487 |
| 2001-08-03 | 2002-10-07 | 2003-12-01 | -0.3977 | 569 | 279 | 290 |
| 2020-02-20 | 2020-03-23 | 2020-07-08 | -0.3587 | 97 | 23 | 74 |
| 2011-07-08 | 2011-10-03 | 2012-09-14 | -0.2518 | 301 | 61 | 240 |
| 2018-09-17 | 2018-12-24 | 2019-04-02 | -0.2288 | 136 | 69 | 67 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | 0.5 | 2.2 | 2.1 | 0.6 | -1.4 | 4 |
| 2002 | -0.4 | 2.5 | -0.2 | 0.5 | -0.2 | -3.1 | -2.9 | 0.6 | 0.1 | 2.9 | 0.6 | -0.3 | 0 |
| 2003 | 0.9 | 0.7 | -0.7 | -0.3 | 1.4 | 0.6 | -0.4 | 0.5 | 1.6 | -0.5 | 1.3 | -0.1 | 5 |
| 2004 | 0.3 | 1.4 | 0.6 | -0.9 | 0.2 | -1.6 | 0.4 | 0.6 | 1.8 | 0.1 | 1.8 | -0.1 | 4.6 |
| 2005 | 0.7 | 0.7 | -0.3 | 0.5 | 0.6 | 0.4 | 0 | -0.2 | 0.8 | 0.2 | 1.8 | -0.6 | 4.7 |
| 2006 | 0.5 | 1.2 | 0.1 | -0.2 | 1.7 | 0 | -1 | 0.6 | -0.5 | -1.1 | -0.4 | -0.5 | 0.3 |
| 2007 | 0.9 | -0.6 | 0.3 | 0.2 | 0.4 | -0.1 | 0.2 | 1.5 | 1.3 | -2.1 | 0.6 | -0.4 | 2.1 |
| 2008 | 2.3 | -2.8 | 3.4 | 1.4 | 0.9 | 0.1 | -0.6 | -1.2 | -1.8 | 1.3 | -8.9 | 1.9 | -4.6 |
| 2009 | -3.3 | -1.1 | 1.5 | 0.5 | 3.9 | 0.5 | 0 | -2.1 | -3 | -2.8 | 1.6 | -1 | -5.5 |
| 2010 | 1.7 | 1.9 | 1.2 | -2.1 | -2.3 | -0.3 | 0.3 | 3.2 | 0.2 | -0.1 | 2.2 | -0.4 | 5.6 |
| 2011 | 1.4 | -1.8 | 0.6 | 0.1 | -2.4 | 1.6 | -0.7 | -1.3 | -3 | -2.7 | -0.1 | -0.4 | -8.4 |
| 2012 | 1.5 | 0.9 | 0.3 | 0.6 | -3.1 | 2.8 | -0.7 | 0.7 | 0 | 1.8 | 0 | 1.8 | 6.7 |
| 2013 | 1 | 0.3 | -0.9 | -1 | -1.3 | 1.4 | 1.9 | -0.8 | 1.1 | 0.1 | -0.2 | 0.3 | 2.1 |
| 2014 | -0.6 | -0.2 | 1.3 | 0.3 | 0.1 | 0.8 | -0.2 | 0.4 | -1.6 | 1.3 | -1.3 | -0.6 | -0.4 |
| 2015 | -1.4 | -0.4 | -0.4 | 1.1 | 0.2 | 0.6 | 0.2 | -2.7 | 0.2 | 0 | 0.8 | -0.9 | -2.8 |
| 2016 | 0.4 | 2.4 | 0.5 | -0.7 | 0.4 | 0.2 | -0.1 | 0.2 | 0.8 | -0.8 | -1 | -0.6 | 1.6 |
| 2017 | -0.1 | 1.1 | -0.1 | 0.2 | 1.3 | 0.3 | 0.1 | 0.4 | 0.5 | -0.3 | -0.5 | -0.6 | 2.2 |
| 2018 | 0 | -1 | 1.4 | 0.4 | 1.2 | 0.1 | -0.1 | 0.4 | -0.5 | 1.9 | 0.7 | 1.2 | 5.6 |
| 2019 | 0.7 | 0.7 | 1.3 | -1.1 | -0.9 | 0.9 | -0.9 | -0.3 | -1.2 | 1 | -0.6 | 0.2 | -0.2 |
| 2020 | -2 | -0.4 | -4.5 | -2.8 | 1 | 1 | 0.4 | 1.6 | 1.3 | -1.8 | 0.3 | -0.1 | -6.1 |
| 2021 | 2 | 2.8 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
